I would argue that it's engrained in human culture more so than it's 'tied into the evolution of the human psyche.'

Religion is a cultural thing devised to give understanding to things we did not understand, not some innate thing. Curiosity is, however.

I disagree, I think it's directly related to the pattern recognition skills that made us a successful species thousands of years ago. Being able to hold disparate ideas in our head is a huge advantage, but it also paves the way for magical thinking, confirmation bias, making connections that don't exist, etc.